Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
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Publication:2656995
DOI10.1016/j.insmatheco.2020.11.007zbMath1460.91221OpenAlexW3109606218MaRDI QIDQ2656995
Edward Furman, Jianxi Su, Yisub Kye
Publication date: 17 March 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.11.007
phase-type distributionsystemic risksize-biased distributionconditional tail expectationeconomic capital allocation
Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)
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